Regional vulnerability: the case of East Asia
Mody, Ashoka and Taylor, Mark P., 1958- (2006) Regional vulnerability: the case of East Asia. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.776).
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In a case study of six East Asian economies, we use dynamic factor analysis to estimate a regional component of the exchange market pressure index (EMPI) as a measure of regional financial stress. The extent to which this indicator is explained by regional economic and financial factors is interpreted as regional vulnerability to crisis. We find that regional external liabilities and exuberance in domestic stock and credit markets, as well as the US high yield spread, were positively correlated with regional vulnerability. Individual country EMPIs are also explained by regional factors, with country-specific factors and trade linkages playing little role.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Social Sciences > Economics|
|Library of Congress Subject Headings (LCSH):||Foreign exchange market -- East Asia, Factor analysis, Capital movements -- East Asia, International economic integration, East Asia -- Economic conditions|
|Series Name:||Warwick economic research papers|
|Publisher:||University of Warwick, Department of Economics|
|Place of Publication:||Coventry|
|Number of Pages:||28|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
Agénor, P.-R., Miller, M., Vines, D., Weber, A. (Eds.), 1999. The Asian Financial Crisis: Causes, Contagion and Consequences. Cambridge University Press; Cambridge, New York and Melbourne.
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